Eaton Vance Massachusetts Municipal Bond Fund

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

Form N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21225

Investment Company Act File Number

 

 

Eaton Vance Massachusetts Municipal Bond Fund

(Exact Name of Registrant as Specified in Charter)

 

 

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

 

 

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

 

 

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

September 30

Date of Fiscal Year End

June 30, 2012

Date of Reporting Period

 

 

 

Item 1. Schedule of Investments

Eaton Vance

Massachusetts Municipal Bond Fund

June 30, 2012

PORTFOLIO OF INVESTMENTS (Unaudited)

Tax-Exempt Investments — 160.0%

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Bond Bank — 6.1%

      

Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/33

    $ 585       $ 782,444   

Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/34

      640         860,723   
     

 

 

  
      $ 1,643,167   
     

 

 

  

Education — 26.9%

      

Massachusetts Development Finance Agency, (Middlesex School), 5.00%, 9/1/33

    $ 750       $ 761,175   

Massachusetts Development Finance Agency, (Milton Academy), 5.00%, 9/1/35

      750         837,510   

Massachusetts Health and Educational Facilities Authority, (Harvard University),
5.00%, 10/1/38(1)

      2,000         2,293,880   

Massachusetts Health and Educational Facilities Authority, (Massachusetts Institute of Technology), 5.50%, 7/1/36

      1,000         1,192,450   

Massachusetts Health and Educational Facilities Authority, (Northeastern University),
5.00%, 10/1/35

      870         954,642   

Massachusetts Health and Educational Facilities Authority, (Tufts University),
5.375%, 8/15/38

      1,025         1,220,160   
     

 

 

  
      $ 7,259,817   
     

 

 

  

Escrowed/Prerefunded — 4.3%

      

Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), Prerefunded to 7/1/13, 5.75%, 7/1/33

    $ 500       $ 532,560   

Massachusetts Development Finance Agency, (Western New England College), Prerefunded to 12/1/12, 6.125%, 12/1/32

      600         620,820   
     

 

 

  
      $ 1,153,380   
     

 

 

  

General Obligations — 12.2%

      

Boston, 4.00%, 4/1/24

    $ 200       $ 225,180   

Cambridge, 4.00%, 2/15/21

      395         465,634   

Danvers, 5.25%, 7/1/36

      565         656,683   

Plymouth, 5.00%, 5/1/26

      250         295,195   

Plymouth, 5.00%, 5/1/31

      225         259,232   

Plymouth, 5.00%, 5/1/32

      205         235,502   

Wayland, 5.00%, 2/1/33

      340         396,885   

Wayland, 5.00%, 2/1/36

      510         586,923   

Winchester, 5.00%, 4/15/36

      160         184,635   
     

 

 

  
      $ 3,305,869   
     

 

 

  

Hospital — 15.0%

      

Massachusetts Health and Educational Facilities Authority, (Dana-Farber Cancer Institute),
5.00%, 12/1/37

    $ 775       $ 827,762   

Massachusetts Health and Educational Facilities Authority, (Lahey Clinic Medical Center),
5.25%, 8/15/28

      400         425,720   

Massachusetts Health and Educational Facilities Authority, (Partners Healthcare System),
5.00%, 7/1/34

      500         544,135   

Massachusetts Health and Educational Facilities Authority, (Partners Healthcare System),
5.00%, 7/1/39

      750         804,187   

Massachusetts Health and Educational Facilities Authority, (South Shore Hospital),
5.75%, 7/1/29

      370         370,433   

Massachusetts Health and Educational Facilities Authority, (Southcoast Health System),
5.00%, 7/1/29

      1,000         1,065,920   
     

 

 

  
      $ 4,038,157   
     

 

 

  

 

 

1

 

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Insured-Education — 17.8%

      

Massachusetts College Building Authority, (XLCA), 5.50%, 5/1/39

    $ 700       $ 929,656   

Massachusetts Development Finance Agency, (Boston College), (NPFG), 5.00%, 7/1/38

      750         789,803   

Massachusetts Development Finance Agency, (Boston University), (XLCA),
6.00%, 5/15/59

      1,105         1,339,746   

Massachusetts Development Finance Agency, (College of the Holy Cross), (AMBAC), 5.25%, 9/1/32(1)

      750         969,982   

Massachusetts Development Finance Agency, (Massachusetts College of Pharmacy), (AGC), 5.00%, 7/1/35

      750         777,818   
     

 

 

  
      $ 4,807,005   
     

 

 

  

Insured-Electric Utilities — 4.6%

      

Puerto Rico Electric Power Authority, (NPFG), 5.25%, 7/1/23

    $ 1,095       $ 1,233,572   
     

 

 

  
      $ 1,233,572   
     

 

 

  

Insured-Escrowed/Prerefunded — 7.3%

      

Massachusetts College Building Authority, (NPFG), Escrowed to Maturity, 0.00%, 5/1/26

    $ 2,900       $ 1,965,098   
     

 

 

  
      $ 1,965,098   
     

 

 

  

Insured-General Obligations — 13.4%

      

Massachusetts, (AMBAC), 5.50%, 8/1/30

    $ 1,900       $ 2,545,031   

Revere, (AGC), 5.00%, 4/1/39

      1,000         1,072,390   
     

 

 

  
      $ 3,617,421   
     

 

 

  

Insured-Hospital — 0.9%

      

Massachusetts Health and Educational Facilities Authority, (Cape Cod Healthcare), (AGC), 5.00%, 11/15/25

    $ 220       $ 241,061   
     

 

 

  
      $ 241,061   
     

 

 

  

Insured-Lease Revenue/Certificates of Participation — 5.1%

      

Puerto Rico Public Finance Corp., (AMBAC), Escrowed to Maturity, 5.50%, 8/1/27

    $ 1,000       $ 1,363,780   
     

 

 

  
      $ 1,363,780   
     

 

 

  

Insured-Other Revenue — 1.9%

      

Massachusetts Development Finance Agency, (WGBH Educational Foundation), (AMBAC), 5.75%, 1/1/42

    $ 415       $ 516,272   
     

 

 

  
      $ 516,272   
     

 

 

  

Insured-Special Tax Revenue — 16.4%

      

Martha’s Vineyard Land Bank, (AMBAC), 5.00%, 5/1/32

    $ 1,225       $ 1,260,843   

Massachusetts Bay Transportation Authority, Sales Tax Revenue, (NPFG), 5.50%, 7/1/28

      400         527,872   

Massachusetts School Building Authority, Dedicated Sales Tax Revenue, (AMBAC), 5.00%, 8/15/37(1)

      1,160         1,281,603   

Massachusetts, Special Obligation, Dedicated Tax Revenue, (FGIC), (NPFG),
5.50%, 1/1/29

      750         910,957   

Puerto Rico Sales Tax Financing Corp., (AMBAC), 0.00%, 8/1/54

      2,595         219,719   

Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/45

      1,460         219,307   
     

 

 

  
      $ 4,420,301   
     

 

 

  

Insured-Water and Sewer — 4.6%

      

Massachusetts Water Resources Authority, (AGM), 5.25%, 8/1/36

    $ 960       $ 1,251,379   
     

 

 

  
      $ 1,251,379   
     

 

 

  

Other Revenue — 3.3%

      

Massachusetts Health and Educational Facilities Authority, (Isabella Stewart Gardner Museum), 5.00%, 5/1/25

    $ 320       $ 361,594   

Massachusetts Health and Educational Facilities Authority, (Isabella Stewart Gardner Museum), 5.00%, 5/1/29

      490         541,391   
     

 

 

  
      $ 902,985   
     

 

 

  

 

2

 

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Senior Living/Life Care — 2.7%

      

Massachusetts Development Finance Agency, (Berkshire Retirement Community, Inc.), 5.15%, 7/1/31

    $ 745       $ 730,838   
     

 

 

  
      $ 730,838   
     

 

 

  

Special Tax Revenue — 5.4%

      

Massachusetts Bay Transportation Authority, 5.25%, 7/1/34

    $ 95       $ 110,260   

Massachusetts Bay Transportation Authority, Special Tax Revenue, 5.00%, 7/1/35

      1,210         1,357,753   
     

 

 

  
      $ 1,468,013   
     

 

 

  

Transportation — 8.9%

      

Massachusetts Department of Transportation, (Metropolitan Highway System),
5.00%, 1/1/32

    $ 1,000       $ 1,092,390   

Massachusetts Department of Transportation, (Metropolitan Highway System),
5.00%, 1/1/37

      500         543,795   

Massachusetts Port Authority, 5.00%, 7/1/28

      250         285,445   

Massachusetts Port Authority, 5.00%, 7/1/34

      435         480,053   
     

 

 

  
      $ 2,401,683   
     

 

 

  

Water and Sewer — 3.2%

      

Boston Water & Sewer Commission, 5.00%, 11/1/27

    $ 750       $ 876,465   
     

 

 

  
      $ 876,465   
     

 

 

  

Total Tax-Exempt Investments — 160.0%
(identified cost $38,366,878)

       $ 43,196,263   
     

 

 

  

Auction Preferred Shares Plus Cumulative Unpaid Dividends — (50.3)%

       $ (13,575,203 ) 
     

 

 

  

Other Assets, Less Liabilities — (9.7)%

       $ (2,607,542 ) 
     

 

 

  

Net Assets Applicable to Common Shares — 100.0%

       $ 27,013,518   
     

 

 

  

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

 

AGC

   -   Assured Guaranty Corp.

AGM

   -   Assured Guaranty Municipal Corp.

AMBAC

   -   AMBAC Financial Group, Inc.

FGIC

   -   Financial Guaranty Insurance Company

NPFG

   -   National Public Finance Guaranty Corp.

XLCA

   -   XL Capital Assurance, Inc.

The Fund invests primarily in debt securities issued by Massachusetts municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at June 30, 2012, 44.9% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution ranged from 2.1% to 18.9% of total investments.

 

(1) Security represents the municipal bond held by a trust that issues residual interest bonds.

A summary of open financial instruments at June 30, 2012 is as follows:

Futures Contracts

 

Expiration
Month/Year		   

Contracts

    Position    Aggregate Cost     Value     Net Unrealized
Depreciation		  
9/12    14 U.S. 30-Year Treasury Bond    Short    $     (2,061,474 )    $     (2,071,562 )    $     (10,088 ) 

 

3

 

 

At June 30, 2012, the Fund had sufficient cash and/or securities to cover commitments under these contracts.

The Fund is subject to interest rate risk in the normal course of pursuing its investment objective. Because the Fund holds fixed-rate bonds, the value of these bonds may decrease if interest rates rise. The Fund purchases and sells U.S. Treasury futures contracts to hedge against changes in interest rates.

At June 30, 2012, the aggregate fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in a liability position and whose primary underlying risk exposure is interest rate risk was $10,088.

The cost and unrealized appreciation (depreciation) of investments of the Fund at June 30, 2012, as determined on a federal income tax basis, were as follows:

 

Aggregate cost

    $     35,017,577   
  

 

 

  

Gross unrealized appreciation

    $ 4,994,223   

Gross unrealized depreciation

      (145,537 ) 
  

 

 

  

Net unrealized appreciation

    $ 4,848,686   
  

 

 

  

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

 

•  

Level 1 — quoted prices in active markets for identical investments

 

•  

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

•  

Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At June 30, 2012, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:

 

Asset Description    Level 1     Level 2      Level 3      Total  

Tax-Exempt Investments

    $ —      $     43,196,263       $ —       $ 43,196,263   

Total Investments

    $ —      $     43,196,263       $ —       $     43,196,263   
Liability Description                               

Futures Contracts

    $     (10,088 )    $ —       $ —       $ (10,088 ) 

Total

    $     (10,088 )    $ —       $     —       $ (10,088 ) 

The Fund held no investments or other financial instruments as of September 30, 2011 whose fair value was determined using Level 3 inputs. At June 30, 2012, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.

For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.

 

4

 

 

Item 2. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Eaton Vance Massachusetts Municipal Bond Fund
By:  

/s/ Thomas M. Metzold

  Thomas M. Metzold
  President

Date: August 27, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Thomas M. Metzold

  Thomas M. Metzold
  President

Date: August 27, 2012

 

By:  

/s/ Barbara E. Campbell

  Barbara E. Campbell
  Treasurer

Date: August 27, 2012